开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Yaq7 · 2021年10月10日

Statement III怎么理解?

* 问题详情,请 查看题干

NO.PZ201902210100000101

问题如下:

Which of Winslow’s statements about carry trades is correct?

选项:

A.

Statement I

B.

Statement II

C.

Statement III

解释:

A is correct.

Carry trades may or may not involve maturity mis-matches. Intra-market carry trades typically do involve different maturities, but inter-market carry trades frequently do not, especially if the currency is not hedged.

B is incorrect. Carry trades may involve only one yield curve, as is the case for intra-market trades. In addition, if two curves are involved they need not have different slopes provided there is a difference in the level of yields between markets.

C is incorrect. Inter-market carry trades do not, in general, break even if each yield curve goes to its forward rates. Intra-market trades will break even if the curve goes to the forward rates because, by construction of the forward rates, all points on the curve will earn the "first-period" rate (that is, the rate for the holding period being considered). Inter-market trades need not break even unless the "first-period" rate is the same in the two markets. If the currency exposure is not hedged, then breaking even also requires that there be no change in the currency exchange rate.

什么叫做move to forward rate,以及为何breakeven,没有明白,谢谢!



1 个答案

pzqa015 · 2021年10月13日

嗨,努力学习的PZer你好:


这句话错在intermarket carry trade了,应该是intra market carry trade。

下面解释一下这句话的含义

回忆一下二级固收,有个结论是(1+S1)(1+f(1,1))=(1+S22

这三个利率都是t=0时刻的,S1、S2为即期利率,是可以观察到的,f(1,1)为远期利率,是根据即期利率推算的。Yield curve move to the forward rate意思是未来的Spot rate趋向于前一时刻的forward rate,比如t=1时刻的S1趋向于t=0时刻的f(1,1),相当于收益率曲线发生了变化,这种情况下期初做carry trade,与buy and hold相比,并没有获得额外的收益,或者额外的收益为0,这种状态是breakeven(盈亏平衡,净收益为0)。

所以statement 3表达的意思是:如果收益率曲线向着forward curve移动,那么intra market carry trade是盈亏平衡的(言外之意,carry trade获得的收益于buy and hold一样)

举个具体的例子:

T=0,

S1=1%,S2=2%,f(1,1)=3%,买入两年期债券,一年后卖出。

T=0时刻,一年期债券价格P1=100/(1+1%)=99,2年期债券价格P2=100/(1+2%)2=96.1168。

T=1,

如果spot rate曲线不变,那么carry trade profit=99/96.1168-1=3%,此时买两年期债券,一年后卖出的carry trade相对于购买一年期债券的buy and hold的超额收益是3%-1%=2%。

如果spot rate收曲线向forward rate移动,即一年后S1=3%,那么期初购买两年期债券1年后的卖出价格为100/(1+3%)=97.09。此时整个策略的收益为97.09/96.1168-1=1.01%≈1%,相对于buy and hold的1%收益,超额收益为0,即breakeven。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!